Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096448 | Journal of Econometrics | 2012 | 20 Pages |
Abstract
This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joakim Westerlund, Rolf Larsson,